Sampling The Posterior: An Approach to Non-Gaussian Data Assimilation

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details: , , and : Sampling The Posterior: An Approach to Non-Gaussian Data Assimilation. Physica D: Nonlinear Phenomena, vol. 230, no. 1–2, pp. 50–64, 2007.
online: DOI:10.1016/j.physd.2006.06.009, journal
preprint: preprint:pdf, preprint:ps
metadata: BibTeX, MathSciNet, Google
keywords: data assimilation, Bayesian filtering, SPDEs, Langevin equation
MSC2000: 62D05, 62C10


The viewpoint taken in this paper is that data assimilation is fundamentally a statistical problem and that this problem should be cast in a Bayesian framework. In the absence of model error, the correct solution to the data assimilation problem is to find the posterior distribution implied by this Bayesian setting. Methods for dealing with data assimilation should then be judged by their ability to probe this distribution. In this paper we propose a range of techniques for probing the posterior distribution, based around the Langevin equation; and we compare these new techniques with existing methods. When the underlying dynamics is deterministic, the posterior distribution is on the space of initial conditions leading to a sampling problem over this space. When the underlying dynamics is stochastic the posterior distribution is on the space of continuous time paths. By writing down a density, and conditioning on observations, it is possible to define a range of Markov Chain Monte Carlo (MCMC) methods which sample from the desired posterior distribution, and thereby solve the data assimilation problem. The basic building-blocks for the MCMC methods that we concentrate on in this paper are Langevin equations which are ergodic and whose invariant measures give the desired distribution; in the case of path space sampling these are stochastic partial differential equations (SPDEs). Two examples are given to show how data assimilation can be formulated in a Bayesian fashion. The first is weather prediction, and the second is Lagrangian data assimilation for oceanic velocity fields. Furthermore the relationship between the Bayesian approach outlined here and the commonly used Kalman filter-based techniques, prevalent in practice, is discussed. Two simple pedagogical examples are studied to illustrate the application of Bayesian sampling to data assimilation concretely. Finally a range of open mathematical and computational issues, arising from the Bayesian approach, are outlined.

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